Assessing the Transmission of Monetary Policy Using Time‐varying Parameter Dynamic Factor Models
提出一个系数和误差协方差可随时间变化的因子增强向量自回归模型，用于分析美国二战后143个季度变量，发现1970年代和80年代初的高通胀波动源于内生和外生冲击，且该模型能减少通胀的“价格谜题”。
Abstract This article extends the current literature which questions the stability of the monetary transmission mechanism, by proposing a factor‐augmented vector autoregressive (VAR) model with time‐varying coefficients and stochastic volatility. The VAR coefficients and error covariances may change gradually in every period or be subject to abrupt breaks. The model is applied to 143 post‐World War II quarterly variables fully describing the US economy. I show that both endogenous and exogenous shocks to the US economy resulted in the high inflation volatility during the 1970s and early 1980s. The time‐varying factor augmented VAR produces impulse responses of inflation which significantly reduce the price puzzle. Impulse responses of other indicators of the economy show that the most notable changes in the transmission of unanticipated monetary policy shocks occurred for gross domestic product, investment, exchange rates and money.